Market Neutral — Arbitrage and Basis Strategy Scoring
ACI scores market-neutral desks on strategy robustness, execution quality, risk management, liquidity access, and transparency.
TL;DR
ACI scores market-neutral desks on strategy robustness, execution quality, risk management, liquidity access, and transparency.
Why This Exists
Market-neutral strategies — basis trades, funding rate arbitrage, cross-exchange arbitrage — present a paradox for credit analysis. They claim to be non-directional, but they carry execution risk, counterparty risk (exchange solvency), and liquidity risk that can turn a small drawdown into a total loss.
An investment committee needs a framework that distinguishes between a well-hedged basis trade on a Tier 1 exchange and a leveraged funding rate position on an unregulated offshore platform.
How It Works
Final Score = (Strategy Robustness x 0.30) + (Execution Quality x 0.25) + (Risk Management x 0.20) + (Liquidity Access x 0.15) + (Transparency x 0.10)
Strategy Robustness evaluates structural edge. Execution Quality measures fill rates and slippage. Risk Management scores position sizing and drawdown history. Liquidity Access assesses 24-hour exit capability. Transparency covers reporting frequency and audit depth.
What You See in the Platform
Market-neutral providers appear in a dedicated Yield Board section showing composite score, strategy type, maximum historical drawdown, and Sharpe ratio where disclosed.
Where to Go Next
Read Venture for illiquid allocation scoring, or Reading an ACI Score for full criterion breakdown.
Next up
Venture — Early-Stage Protocol and Fund Scoring
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